If you're using Windows XP, make sure that the XP firewall is off. See if you can find any helpful info about configuring McAfee at the link below
http://ts.mcafeehelp.com/?siteID=1&resolution=1024x768

Have a read through this connection problems sticky as well
Connection problems? Check here first!

If you're stuck, post back with your details. Post #2 of that sticky shows the info that we need